Many patients with COPD suffer from involuntary weight loss. A medical therapy to help these patients regain weight would be of great use. Progestational agents, such as megesterol acetate have been shown to produce weight gain in patients with chronic wasting disease such as AIDS and cancer. Megase works by stimulating appetite and increased food intake results in weight gain. This study will determine whether any weight gain is accompanied by increased muscle mass, increased exercise tolerance and muscle strength or changes in inflammator.